Temporal aggregation of volatility models

DOI10.1016/S0304-4076(03)00200-8zbMath1282.91239OpenAlexW3023857478MaRDI QIDQ2439047

Nour Meddahi, Eric Renault

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00200-8

zbMATH Keywords

stochastic volatilityGARCHdiffusion processestemporal aggregationstate-spaceasset returnsSR-SARV

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stochastic models in economics (91B70)

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